The Mixing Properties of Subdiagonal Bilinear Models

Title & Authors
The Mixing Properties of Subdiagonal Bilinear Models
Jeon, H.; Lee, O.;

Abstract
We consider a subdiagonal bilinear model and give sufficient conditions for the associated Markov chain defined by Pham (1985) to be uniformly ergodic and then obtain the $\small{\beta}$-mixing property for the given process. To derive the desired properties, we employ the results of generalized random coefficient autoregressive models generated by a matrix-valued polynomial function and vector-valued polynomial function.
Keywords
Subdiagonal Bilinear model;geometric ergodicity;$\small{\beta}$-mixing;stationarity;generalized random coefficient autoregressive model;
Language
English
Cited by
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